by Tyler Durden
Wednesday, May 26, 2021 - 11:55 AM
It may not feel like it, but the market is pretty much dead: as we noted last night, Tuesday s consolidated volume just tumbled to the lowest of 2021, while total options volume yesterday was 540,000, which was less than Christmas Eve and also the lowest volume of 2021.
What s going on here?
Well, according to Nomura s Charlie McElligott, the
chokeheld market is acting frozen because it is stuffed to death on options Gamma ,
with a ton of vol selling seen so far this week particularly in single names, whether via covered call overwriting and put underwriting, as well as due to perpetual SPX strangle selling , coupled with the ongoing slow bleed of of VIX ETN longs monetization into the latest “inflation scare” vol spike. Some more details: